Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0013
Annualized Std Dev 0.1819
Annualized Sharpe (Rf=0%) -0.0073

Row

Daily Return Statistics

Close
Observations 4715.0000
NAs 1.0000
Minimum -0.2612
Quartile 1 -0.0035
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1894
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0115
Skewness -2.8336
Kurtosis 97.5879

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0084
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.6738
Historical VaR (95%) -0.0135
Historical ES (95%) -0.0262
Modified VaR (95%) -0.0037
Modified ES (95%) -0.0037
From Trough To Depth Length To Trough Recovery
2005-12-30 2008-12-15 2019-08-02 -0.6738 3420 745 2675
2019-08-09 2020-03-18 NA -0.3731 407 153 NA
2002-07-01 2004-05-24 2005-06-06 -0.1441 739 479 260
2005-07-13 2005-10-19 2005-12-13 -0.0649 108 70 38
2005-06-08 2005-06-13 2005-06-24 -0.0072 13 4 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA -1 0.2 0.1 0.1 0.5 -0.6 0.5 -0.2
2003 -0.3 -0.3 0.3 0.4 1 0 -0.4 0.4 0.5 0.4 0.4 0.3 2.7
2004 0.7 -0.2 0 0.3 -0.4 0.7 0.7 -0.1 0.3 -0.1 1 1 4
2005 0.1 -0.2 1.1 0.2 0.4 -0.5 0.1 0 0.5 0.3 0.7 -0.9 1.9
2006 -2.4 -0.1 0.8 0.6 1 0.4 0.1 0 -0.7 -0.5 0.3 0.1 -0.4
2007 0.6 -0.1 -0.2 0.4 0.1 0.5 0.5 0.5 0.1 -1.6 0.5 -0.4 1
2008 0.3 -1.4 0.4 -0.1 0.4 0.5 -0.5 -0.4 2.3 -0.7 -26.1 2.1 -23.9
2009 -0.3 -1.2 0.7 2.2 0.7 1.8 2 0.3 0.4 -0.4 0.1 0.8 7.5
2010 1.4 0 0 0.5 0.5 -0.4 1.1 -0.2 0.1 -0.4 -1.1 1.4 2.9
2011 1 0.1 0.5 0.1 0.1 0.3 1.7 0 -1 -0.6 0.2 0.4 2.7
2012 -0.4 1.3 -0.3 0.4 0 0.6 0.5 -0.1 0.7 0.8 0.2 0.8 4.6
2013 -0.1 0.2 -0.4 0.6 -2.1 0.6 -1.3 0 0.3 -1.5 0.3 -0.4 -3.8
2014 0.8 0.9 0.1 0.3 0.1 -0.5 0.3 0.4 0.4 -0.3 -0.1 0 2.5
2015 0.8 1.1 0.5 -1.4 0.1 0.7 0.9 0 -0.1 0.4 0.8 -0.6 3.2
2016 0.6 0.6 0 0.4 1.6 0.3 -0.1 -0.1 0.3 0.7 -2 0.7 2.9
2017 0.2 -0.6 -0.1 0.2 0.3 0.4 0.3 -0.2 -0.1 0.5 0.5 -0.5 1.1
2018 -0.1 0.1 1.4 0.2 1.1 0.3 0.4 0.2 0 0.7 -0.1 0.2 4.5
2019 -0.5 -0.3 0.1 1.2 0.1 0.9 0 0.1 0.8 0.1 0.4 0.3 3.2
2020 0.3 -3.4 -6 0.2 1.3 0.4 0.4 1 0.8 -0.2 -0.4 0.9 -4.6
2021 0.4 0.1 0 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-06-26  15.0 SPY    97.7  0.0016  -0.0468  -0.096    -0.147   -0.202   -0.269       NA <NA>     NA    NA       NA
2 2002-06-27  15.2 SPY    99.4  0.0175  -0.0176  -0.0733   -0.132   -0.197   -0.253       NA <NA>     NA    NA       NA
3 2002-06-28  15.2 SPY    99.0 -0.0047  -0.0032  -0.0751   -0.136   -0.194   -0.250       NA <NA>     NA    NA       NA
4 2002-07-01  15.0 SPY    97.0 -0.0195  -0.0278  -0.095    -0.148   -0.203   -0.263       NA <NA>     NA    NA       NA
5 2002-07-02  15.1 SPY    95.0 -0.0212  -0.0265  -0.0901   -0.161   -0.219   -0.288       NA <NA>     NA    NA       NA
6 2002-07-03  15.1 SPY    95.5  0.0057  -0.0226  -0.0872   -0.152   -0.214   -0.290       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart